shadow not rendering
I know this is an old question, but -- 

are you sure you have shadows turned on in the render panel?

Under the render panel (the one with the little "camera" icon), scroll down to the "Shading" roll-out, and be sure you have "Shadows" checked. 

Otherwise your shadows won't render.

Shadows are a two-step thing.  Once you've refined them in your lighting panel, be sure to turn them on in your render panel.